"Also is using the DJIA index reasonable for charting to test some strategies ? "

Depends on your timeframe. If you are trading 30 or 60m bars, the index would be an acceptable surrogate for developing your trading system. Just be sure to toss in a healthy dose of slippage when you factor in the futures contract you will actually be trading.

How much slippage? Depends on your size. Since the cbot ditched the $10 DJ on ace, liquidity has improved greatly on the $2 and the new $5. Plus the cbot has got a couple of firms making a market in those contracts. So if you watch it on ace for a few days, you will see 100+ contracts on the bid/ask, with an 8 to 10 point spread. Inside of that will be a number of smaller players narrowing the spread to as low as 3 points, but only in small size. 1-10 contracts.

Unfortunately, DJIA cash is about the only thing you have to go on for system development. Volume in the DJ pit contract and on ace was never liquid enough for a small timeframe chart (5m lets say).

Take your time before wrangling the DJ But having said that, the $2 contract does give you a way to play a DJ swing trade while risking little capital. Plus you keep your broker happy, since he will make most of the money on such a small contract. But its cheap education.

Chicago, April 3, 2002--Demonstrating its ability to create unique trading opportunities, the Chicago Board of Trade (CBOTÂ®) today announced that Bear Hunter Structured Products L.L.C. and Susquehanna International Group, LLP (SIG) have been appointed as electronic market markers (EMM) to enhance liquidity for CBOTÂ® mini-sized DowSMfutures contracts. The market maker program for the CBOTÂ® mini-sized DowSMfutures complex, which trades exclusively on the exchange's electronic trading platform, will begin on April 5, 2002, the same day the exchange will begin trading a new mini-sized DowSMcontract with a $5 multiplier.

CBOTÂ® Chairman Nickolas J. Neubauer said, "The introduction of a new CBOTÂ® mini-sized DowSMcontract with a $5 multiplier complements our already existing DowSMequity and CBOTÂ® index complexes, ensuring the best fit for open auction and screen arbitrage opportunities for our customers and members. This unique synergy in the CBOTÂ® mini-sized DowSMfutures complex, combined with the launch of electronic market makers Bear Hunter and Susquehanna and the liquidity and trading expertise provided by CBOTÂ® members, will provide a tight liquid market at launch."

CBOTÂ® President and CEO David J. Vitale said, "The CBOTÂ® is experiencing great volume success with ABN AMRO's recent participation in the exchange's new market marker program for its 10-year Swap futures. We continue to move decisively to initiate market maker programs where we deem it necessary to preserve market share or to concentrate capital investment in support of new product initiatives, as in the case of the CBOTÂ® new mini-sized DowSMcontract. We look forward to Susquehanna s and Bear Hunter's involvement in this program."

Daniel McCabe, CEO, Bear Hunter Structured Products LLC said, "The electronic trading platform for futures has been very successful. We believe bringing an EMM to this platform will add liquidity. Bear Hunter Structured Products is uniquely positioned to meet the rigorous requirements of the CBOTÂ®. We look forward to the challenge of this exciting new endeavor."

Eric Noll, Head of Strategic Planning and New Product Development for Susquehanna International Group said, "As one of the leading market making firms in the country, we believe we are primed to offer enhanced liquidity and superior execution in this new innovative futures product. We are pleased to join forces with the CBOTÂ® and look forward to our continued partnership in other new ventures."

On April 5, the CBOTÂ® will cancel side-by-side trading for its DJIASM futures and futures-option contracts. The new trading hours for the CBOTÂ® DowSMJones complex are as follows:
DJIASM futures and futures-options--open auction: 7:20 a.m.-3:15 p.m., Mon.-Fri.; electronic: 8:15 p.m.-7:00 a.m., Sun.-Fri.

For more information on DowSMJones futures complex,
please visit the CBOTÂ® website at www.cbot.com/equity.

More...

With TS6 (Tradestation) I now have Charts and Times&Sales, but cannot trade with IB (no quotes).
Spread seems to be 2 to 5 points for YM (YMM02) and enough liquidity to trade 1 or 2 contracts.
IMHO Volume is increasing fast, this week I saw a lot of trades with size 10 and more.

There's two (2) Mini Dow contracts. They both trade on A/C/E which is the CBOT's equivalant to globex. It's the same platform as Eurex. One Dow $5 per point and one $2 per point. The volume is about 4500 for the $5 Dow and 600 for the $2 Dow.
The $5 has been picking up more and more volume lately.

More info is at www.cbot.com I have a few instructional Dow Videos as well if you're interested.